diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/portfolio.py | 35 |
1 files changed, 30 insertions, 5 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index f918c4c5..5fd81ae8 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -4,7 +4,7 @@ from .option import BlackSwaption class Portfolio: def __init__(self, trades): self.trades = trades - self.index = next(t for t in trades if isinstance(t, Index)) + self.indices = [t for t in trades if isinstance(t, Index)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] @property @@ -12,9 +12,17 @@ class Portfolio: return sum(t.pnl for t in self.trades) @property + def pnl_list(self): + return [t.pnl for t in self.trades] + + @property def pv(self): return sum(t.pv for t in self.trades) + @property + def pv_list(self): + return [t.pv for t in self.trades] + def set_original_pv(self): for t in self.trades: t.set_original_pv() @@ -25,19 +33,36 @@ class Portfolio: @trade_date.setter def trade_date(self, d): - self.index.trade_date = d + for index in self.indices: + index.trade_date = d @property def ref(self): - return self.index.ref + if len(self.indices) == 1: + return self.indices[0].ref + else: + return [index.ref for for index in self.indices] @ref.setter def ref(self, val): - self.index.ref = val + if hasattr(self, 'index'): + self.index.ref = val + else: + if len(self.indices) == 0: + ##no index, so set the individual refs + for t in trades: + t.index.ref = val + else: + if len(val) != len(self.indices): + raise ValueError("The number of refs doesn't match the number of indices") + for index, val in zip(self.indices, val): + index.ref = val @property def delta(self): - """returns the equivalent protection notional""" + """returns the equivalent protection notional + + makes sense only where there is a single index.""" return sum([getattr(t, 'delta', -t._direction) * t.notional for t in self.trades]) @property |